<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0120-2596</journal-id>
<journal-title><![CDATA[Lecturas de Economía]]></journal-title>
<abbrev-journal-title><![CDATA[Lect. Econ.]]></abbrev-journal-title>
<issn>0120-2596</issn>
<publisher>
<publisher-name><![CDATA[Universidad de Antioquia]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0120-25962016000200011</article-id>
<article-id pub-id-type="doi">10.17533/udea.le.n85a01</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[An empirical analysis of unspanned risk for the U.S. yield curve]]></article-title>
<article-title xml:lang="es"><![CDATA[Un análisis empírico del riesgo no-generado por la curva de rendimientos de bonos de los Estados Unidos]]></article-title>
<article-title xml:lang="fr"><![CDATA[Une analyse empirique du risque non-généré par la courbe de rendements des obligations des États-Unis]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Gomez]]></surname>
<given-names><![CDATA[Karoll]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Nacional de Colombia Facultad de Ciencias Humanas y Economicas Department of Economics]]></institution>
<addr-line><![CDATA[Medellín ]]></addr-line>
<country>Colombia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>07</month>
<year>2016</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>07</month>
<year>2016</year>
</pub-date>
<numero>85</numero>
<fpage>11</fpage>
<lpage>53</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_arttext&amp;pid=S0120-25962016000200011&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_abstract&amp;pid=S0120-25962016000200011&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_pdf&amp;pid=S0120-25962016000200011&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In this paper, I formally test for the unspanning properties of liquidity premium risk in the context of a joint Gaussian affine term structure model for zero-coupon U.S. Treasury and TIPS bonds. In the model, the liquidity factor is regarded as an additional factor that does not span the yield curve, but improves the forecast of bond risk premia. I present empirical evidence suggesting that liquidity premium indeed helps to forecast U.S. bond risk premia in spite of not being linearly spanned by the information in the joint yield curve. In addition, I show that the liquidity factor does not affect the dynamics of bonds under the pricing measure, but does affect them under the historical measure. Further, variation in the TIPS liquidity premium predicts the future evolution of the traditional yield curve factors.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este articulo testea si la prima por riesgo de liquidez cumple con la propiedad de no ser generada por la estructura a plazos de tasas de interés en el contexto de un modelo gaussiano afín para bonos cero cupón nominales e indexados por inflación emitidos por el gobierno de los Estados Unidos. En el modelo, el riesgo de liquidez es tenido en cuenta como un factor adicional que no es generado por la curva de rendimientos, pero que mejora el pronóstico de la prima por riesgo de los bonos. Se presenta evidencia empírica que sugiere que la prima por liquidez ayuda a pronosticar la prima por riesgo de los bonos a pesar de no ser generada por la información contenida en la curva de rendimientos conjunta. Adicionalmente, se prueba que el factor de liquidez no afecta la dinámica de los bonos bajo la medida libre de riesgo, pero sí bajo la medida de probabilidad histórica. Así mismo, la variación en la prima de riesgo por liquidez predice la evolución futura de los factores tradicionales que explican la curva de rendimientos de los bonos.]]></p></abstract>
<abstract abstract-type="short" xml:lang="fr"><p><![CDATA[Résumé Cet article cherche à savoir si la prime de risque de liquidité est conforme à la hypothèse selon laquelle la prime ne peut pas être généré par la structure à termes des taux d'intérêt, dans le cadre d'un modèle gaussien affine avec des obligations à coupon nominal zéro indexées sur l'inflation, émises par le gouvernement des États-Unis. Dans le modèle, le risque de liquidité est pris en compte en tant qu'un facteur supplémentaire qui n'est pas généré par la courbe de rendements, mais il sert à améliorer la prévision de la prime de risque sur les obligations. Nous montrons des preuves empiriques suggérant que la prime de liquidité permet de prédire la prime de risque sur les obligations, malgré le fait de n'est pas être généré par les informations contenues dans la courbe de rendements. En outre, il est prouvé que le facteur de liquidité n'affecte pas la dynamique des obligations en vertu de la mesure sans risque, mais celui-ci est affecté en vertu de la mesure de probabilité historique. Enfin, nous montrons que la variation de la prime de risque de liquidité prédit l'évolution future des facteurs traditionnels qui se trouvent derrière la courbe de rendements des obligations.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[liquidity risk]]></kwd>
<kwd lng="en"><![CDATA[inflation-indexed bond market]]></kwd>
<kwd lng="en"><![CDATA[affine term structure]]></kwd>
<kwd lng="en"><![CDATA[unspanned factors]]></kwd>
<kwd lng="en"><![CDATA[predictability]]></kwd>
<kwd lng="es"><![CDATA[riesgo de liquidez]]></kwd>
<kwd lng="es"><![CDATA[bonos indexados a inflación]]></kwd>
<kwd lng="es"><![CDATA[modelos afines de tasa de interés]]></kwd>
<kwd lng="es"><![CDATA[factores no generados por la curva de rendimientos]]></kwd>
<kwd lng="es"><![CDATA[predictibilidad]]></kwd>
<kwd lng="fr"><![CDATA[risque de liquidité]]></kwd>
<kwd lng="fr"><![CDATA[obligations indexées sur l'inflation]]></kwd>
<kwd lng="fr"><![CDATA[modèles de taux d'intérêt connexes]]></kwd>
<kwd lng="fr"><![CDATA[facteurs non-générés par la courbe de rendements]]></kwd>
<kwd lng="fr"><![CDATA[prévisions]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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